Deterministic Chaos in Exchange Rates?

Mikael Bask ()

No 453, Umeå Economic Studies from Umeå University, Department of Economics

Abstract: Can nominal exchange rates be characterised by deterministic chaos? To answer this question, a statistical framework utilising blockwise bootstrap was used to test for the presence of a positive Lyapunov exponent in a time series. In most cases, the null hypothesis of a non-positive Lyapunov exponent characterising the time series was rejected.

Keywords: Deterministic chaos; Dynamical systems; Exchange rates; Moving blocks bootstrap. (search for similar items in EconPapers)
JEL-codes: F31 (search for similar items in EconPapers)
Date: 1997-12-15
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Persistent link: http://EconPapers.repec.org/RePEc:hhs:umnees:0453

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